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Stochastic partial differential equations and filtering of diffusion processes. (English) Zbl 0424.60067


MSC:

60H15 Stochastic partial differential equations (aspects of stochastic analysis)
93E11 Filtering in stochastic control theory
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References:

[1] Bensoussan A., Application des inequations variationnelles en contrdle stochastique (1978)
[2] Balakrishnan A., Stochastic bilinear partial differential equations (1974) · Zbl 0371.60077
[3] DOI: 10.1016/0022-247X(77)90002-6 · Zbl 0367.60067
[4] DOI: 10.1016/0025-5564(72)90039-9 · Zbl 0251.60040
[5] DOI: 10.1016/0022-0396(78)90071-2 · Zbl 0348.60087
[6] Krylov N. V., Izvestia Akademia Nauk SSSR 2 pp 356– (1978)
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[8] DOI: 10.1016/0022-0396(67)90023-X · Zbl 0158.16801
[9] Kushner H. J., Probability methods for approximations in stochastic control and for bis elliptic equations (1977) · Zbl 0547.93076
[10] DOI: 10.1007/978-3-662-25839-2
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[12] Pardoux E., Equations aux derivees partielles stochastiques non lineaires monotones (1975)
[13] Pardoux E., Integrates stochastiques hibertiermes Cah. Math.Dec 7617
[14] Pardoux E., Proc. Journees de Statistique dans les processus stochastiques 636 (1978)
[15] Pardoux E., Stochastic Analysis (1978)
[16] Pardoux E., Stochastic Control Theory and Stochastic Differential Systems 16 (1979) · Zbl 0424.60067
[17] Stroock D. W., Comm. Pure and AppL Math 22 pp 345, 479– (1969)
[18] DOI: 10.1007/BF00536382 · Zbl 0164.19201
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